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Multilevel Monte Carlo for exponential Lévy models [PDF]
Finance and Stochastics, 2017 We apply multilevel Monte Carlo for option pricing problems using exponential L vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate the computational efficiency of this approach.
Mike Giles, Yuan Xia
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Multilevel Monte Carlo method for the Brownian configuration field of polymer fluids
AIP Advances, 2020 Stochastic Brownian dynamics is an extremely powerful way to simulate the polymer dynamics in solutions and melts. Mathematically, these models are described by stochastic differential equations.
Jin Su +3 more
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AppliedMath, 2023 A multilevel Monte Carlo (MLMC) method is applied to simulate a stochastic optimal problem based on the gradient projection method. In the numerical simulation of the stochastic optimal control problem, the approximation of expected value is involved ...
Changlun Ye, Xianbing Luo
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Multilevel Mixture Kalman Filter
EURASIP Journal on Advances in Signal Processing, 2004 The mixture Kalman filter is a general sequential Monte Carlo technique for conditional linear dynamic systems. It generates samples of some indicator variables recursively based on sequential importance sampling (SIS) and integrates out the linear and ...
Xiaodong Wang, Dong Guo, Rong Chen
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European Journal of Personality, EarlyView., 2020 Abstract Vocational interests are traditionally conceived as stable preferences for different activities. However, recent theorizing suggests their intraindividual variability. This preregistered experience sampling study examined intraindividual variation in selected vocational interests states and related situation and person factors (N = 237 ...
Lena Roemer +3 more
wiley +1 more source
Applied Sciences, 2022 Groundwater contaminant transport modeling is a vitally important topic. Since modeled processes include uncertainties, Monte Carlo methods are adopted to obtain some statistics. However, accurate models have a substantial computational cost.
Martin Špetlík, Jan Březina
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, 2013 The Euler-Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlinear stochastic differential equations (SDEs) with superlinearly growing and globally one-sided Lipschitz continuous drift coefficients.
Hutzenthaler, Martin +2 more
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ESAIM: Proceedings and Surveys, 2017 In this paper, we recall the result about the strong convergence rate of the Ninomiya-Victoir scheme and the properties of the multilevel Monte Carlo estimators involving this scheme that we introduced and studied in [2].
Al Gerbi A., Jourdain B., Clément E.
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Multilevel Monte Carlo methods for ensemble variational data assimilation [PDF]
Nonlinear Processes in GeophysicsEnsemble variational data assimilation relies on ensembles of forecasts to estimate the background error covariance matrix B. The ensemble can be provided by an ensemble of data assimilations (EDA), which runs independent perturbed data assimilation and ...
M. Destouches +10 more
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, 2015 In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order $1/2$.
Clément, Emmanuelle +2 more
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